Well, it's probably right in front of me .. but I can't figure it out .. and have given up after 45 minutes, but trying to record MIDI data into Sonar 4.0.1 and the recording is going through okay, but if I try to change the existing key signature, the box opens but I am unable to select anything in the "at measure" box .. it is all grayed out. I've tried everything I could thing of ... selecting this track ... un-selecting some others .. rewinding the piece to the start ... unarm-ing the track ... selecting everything ... rebooting ... starting over ... sheesh, I give up. How can I get the "at measure" box to activate so I can stipulate the measure (actually just from the beginning, would be fine) I've searched through the online doc' and my big fat "Sonar POWER!" book I bought years ago. Curiously, the piece is locked in the key of E Major ... I want Eb (C minor actually) Thanks greatly! for any help .. sorry if it's right in front of my eyes ...

Are you experiencing the problem in other projects, or just this one?
Can you change the value in any of the boxes?
Does everything else work ok? Can you open the tempo map?
Are you running S4 on a newer machine?
I just tried it on mine (in SHS6), both from the transport and the Meter/Key view, and the "at measure" box is available.
I can't find anything in Sonar that would disable this, so I kind of suspect project or program corruption, or a permission issue.

Thanks so much for your response! Hmm, ..well, everything else seems to work ... I have it on my old Windows XP computer (since that's where all my midi goes in/out); but I also have kept my "Cakewalk Professional" on there (which interestingly DOES let me select key and all other things) wonder if some conflict is arising .. I never have both open at the same time. I have a later Sonar version (Studio 7) on a separate setup (on a Windows 7 computer); but that's independent of this system. But yeah, I can open the tempo map okay ... yeah, whole thing's weird ...

Just ran into a similar issue.. I CAN open the Insert key dialogue box, but, it doesn't do anything to the pitch of the notes.  I checked the Staff view, and the "key change" is there, but the song still sounds the same.
 
EDIT: Somehow this key change was sent to my Yamaha Motif X rack, and EVERY song has the bass and piano in Ab instead of C.  How interesting.